Air-shielding radial ultrasonic rolling electrochemical micromachining (AS-RUREMM) is proposed to fabricate high-quality micro-dimple textures on cylindrical SS304 surfaces while suppressing stray corrosion. In AS-RUREMM, an annular air sheath coaxially envelopes the electrolyte jet to confine the wetting footprint, and radial ultrasonic vibration is superimposed on a rolling cathode with micro-protrusions to intensify local mass transport and stabilize the interelectrode environment. A conductivity-centered theoretical framework is established to link air-sheathing-induced gas–liquid distribution, ultrasonic gap modulation, and the resulting current-density localization. Multiphysics simulations in COMSOL 5.3 clarify that moderate air pressure forms a stable confined gas–liquid structure that narrows the effective conductive pathway, whereas excessive air pressure increases intermittency and weakens effective gap conductivity. Experiments on SS304 tubes validate the confinement mechanism: compared with RUREMM, AS-RUREMM produces smaller pit width and depth but a higher depth-to-width ratio, indicating enhanced localization and reduced peripheral over-etching. The simulated cross-sectional profiles agree with measurements, with an overall deviation within 6%. Parameter studies identify an optimal operating window, and the combination of 0.18 MPa air pressure and 12 V pulse voltage provides the highest aspect ratio while maintaining stable machining. SEM/EDX analyses further support the improved process controllability under air shielding through reduced stray corrosion and composition changes consistent with a more regulated electrochemical dissolution environment.